The SEC investigates unusual activity in a stock. Its investigation diligence is independent of the sizes of transactions. So if there is unusual activity, and the SEC investigates, you could get in trouble for trading a single share. To be safe, you would have to route trades through an unrelated party – which would involve you transferring cash to that party, which would then be detected by the IRS, assuming you routed significant amounts of cash. And, as “sandiego” pointed out, if you do not do this with significant amounts of cash, it will not return enough to be worthwhile.
